feat(signal): M8.1 交易信号引擎(规则 + signal_event 落库 + /api/signals)
- SignalRules(买入 rank 阈值/趋势 MA/动量 + 卖出区间/破位警示)+ SignalEvent (BUY/WATCH/SELL,score/price/trigger_reason 可解释)+ SignalResult/Meta - quant/signal.generate_signals:与选股同一评分引擎取全市场 rank,按规则分类输出 - signal_snapshot/signal_event 表(migration d8e0b2f3c4d5,MySQL 已应用)+ Repo - SignalService + POST /api/signals(同步+落库)、GET 详情/列表 - tests/test_signals.py(引擎分类/排序/破位不 BUY、service、API 提交读回);全量 pytest 通过
This commit is contained in:
@@ -11,6 +11,7 @@ from fastapi import Depends
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from sqlalchemy.orm import Session
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from app.application.services.selection_service import SelectionService
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from app.application.services.signal_service import SignalService
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from app.domain.repositories.composite import CompositeRepository
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from app.domain.repositories.factor import FactorRepository
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from app.domain.repositories.jobs import ExperimentRepository, JobRepository
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@@ -20,6 +21,7 @@ from app.domain.repositories.market import (
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StockRepository,
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)
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from app.domain.repositories.selection import SelectionRepository
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from app.domain.repositories.signal import SignalRepository
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from app.infrastructure.persistence.sqlalchemy.repositories.composite_impl import (
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SqlAlchemyCompositeRepository,
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)
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@@ -34,6 +36,9 @@ from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
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from app.infrastructure.persistence.sqlalchemy.repositories.selection_impl import (
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SqlAlchemySelectionRepository,
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)
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from app.infrastructure.persistence.sqlalchemy.repositories.signal_impl import (
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SqlAlchemySignalRepository,
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)
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from app.infrastructure.persistence.sqlalchemy.session import get_session
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from app.quant.engine import LocalEngine, QuantEngine
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from app.quant.service import ResearchService
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@@ -65,6 +70,13 @@ def _service_factory(
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return ResearchService(stock_repo, daily_repo, engine)
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def _signal_service_factory(
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stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
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daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
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) -> SignalService:
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return SignalService(stock_repo, daily_repo)
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def _selection_service_factory(
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stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
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daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
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@@ -86,6 +98,10 @@ def _composite_repo_factory(session: DbSession) -> CompositeRepository:
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return SqlAlchemyCompositeRepository(session)
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def _signal_repo_factory(session: DbSession) -> SignalRepository:
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return SqlAlchemySignalRepository(session)
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StockRepoDep = Annotated[StockRepository, Depends(_stock_repo_factory)]
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DailyRepoDep = Annotated[DailyBarRepository, Depends(_daily_repo_factory)]
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EngineDep = Annotated[QuantEngine, Depends(_engine_factory)]
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@@ -94,6 +110,8 @@ SelectionServiceDep = Annotated[SelectionService, Depends(_selection_service_fac
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SelectionRepoDep = Annotated[SelectionRepository, Depends(_selection_repo_factory)]
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FactorRepoDep = Annotated[FactorRepository, Depends(_factor_repo_factory)]
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CompositeRepoDep = Annotated[CompositeRepository, Depends(_composite_repo_factory)]
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SignalRepoDep = Annotated[SignalRepository, Depends(_signal_repo_factory)]
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SignalServiceDep = Annotated[SignalService, Depends(_signal_service_factory)]
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def _job_repo_factory(session: DbSession):
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@@ -17,6 +17,7 @@ from app.api import (
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jobs,
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research,
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selections,
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signals,
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stocks,
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)
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@@ -27,6 +28,7 @@ api_router.include_router(factors.router)
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api_router.include_router(composites.router)
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api_router.include_router(research.router)
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api_router.include_router(selections.router)
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api_router.include_router(signals.router)
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api_router.include_router(jobs.router)
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api_router.include_router(experiments.router)
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api_router.include_router(agent.router)
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@@ -0,0 +1,65 @@
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"""交易信号 API(M8.1):提交/查询信号(落库可复现)。
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POST /api/signals body: {query: SelectionQuery, rules?: SignalRules}
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GET /api/signals/{id} 读回某次信号
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GET /api/signals 历史信号元数据(可过滤 as_of)
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"""
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from __future__ import annotations
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from datetime import date
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from typing import Annotated
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from fastapi import APIRouter, HTTPException, Query
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from pydantic import BaseModel
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from app.api.deps import DbSession, SignalRepoDep, SignalServiceDep
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from app.application.services.job_executor import new_id
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from app.domain.entities.selection import SelectionQuery
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from app.domain.entities.signal import SignalMeta, SignalResult, SignalRules
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router = APIRouter(prefix="/signals", tags=["signals"])
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_AsOfQuery = Annotated[date | None, Query(description="按信号时点过滤")]
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_LimitQuery = Annotated[int, Query(ge=1, le=200)]
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class SignalRequest(BaseModel):
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query: SelectionQuery
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rules: SignalRules = SignalRules()
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class SignalRun(BaseModel):
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signal_id: str
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result: SignalResult
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@router.post("", response_model=SignalRun, summary="生成一次交易信号(同步)并落库")
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def run_signal(
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req: SignalRequest,
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service: SignalServiceDep,
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signal_repo: SignalRepoDep,
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session: DbSession,
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) -> SignalRun:
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result = service.signal(req.query, req.rules)
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signal_id = new_id("SIG")
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signal_repo.save(signal_id, result)
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session.commit()
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return SignalRun(signal_id=signal_id, result=result)
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@router.get("/{signal_id}", response_model=SignalResult, summary="读回一次信号结果")
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def get_signal(signal_id: str, signal_repo: SignalRepoDep) -> SignalResult:
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result = signal_repo.get(signal_id)
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if result is None:
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raise HTTPException(status_code=404, detail=f"信号记录 {signal_id} 不存在")
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return result
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@router.get("", response_model=list[SignalMeta], summary="历史信号元数据列表")
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def list_signals(
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signal_repo: SignalRepoDep,
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as_of: _AsOfQuery = None,
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limit: _LimitQuery = 20,
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) -> list[SignalMeta]:
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return signal_repo.list_recent(as_of=as_of, limit=limit)
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